wilmott.com

Can anyone help with a basic model for a VBA CDO Pricing model/code?Many thanks in advance,K

I've built a gaussian copula monte carlo simulation model. It can be used to price CDO tranches with up to 100 reference entites. It replicates the results of Gibson's paper using simulation rather than a one-factor model.If you send me your email address I'll email it to you.Mac

can I have a copy too?cemil@bloomberg.net

Hi Mac, thanks for you reply, can you please email me a copy to: ks05@hotmail.co.uk, thanks.Are you in research/work in the industry?Look forward to hearing from you.K

Mac, could you send me a copy to: fcastellc@hotmail.com? Many thanks.Regards,

I've emailed you all a copy.If you have any suggestions, please let me know.CheersMac

Very generous, how about uploading it here for the general audience ?

Hi Mac,Would you please also send me the model you have? my email is cli2020@yahoo.comCheers,

Appreciated if you could send a copy to csaggese1@bloomberg.netCheers

macca9, any chance of joining the pool?hingason@gmail.comcheers!

Hi Mac, Would you please also send a copy to gaof_2000@msn.com? Thanks a lot!Cheers,

I thought I should outline exactly what the model does since I made the comment that it replicates the results of Gibson's paper.It replicates the tranche spreads in Table 2 (p. 10). i.e. 1507 for Equity, 315 for Mez and 7 for Senior.It does this by monte-carlo simulation, rather than a one-factor model - which obviously gives the same result...It is all coded up in VBA and is therefore not terribly efficient. My Pentium M notebook does about 900 simulations in 1 minute, however my Centrino is about 3 times faster (2 years older than my Pentium M - go figure..). It does the default time sorting using the built in excel sort function. If this was replaced with an in-code quick sort it should make it much quicker, but when I was building it I didn't have time.I might code it up in C/C++ in the future if I have time.I currently don't have access to my email, but will send it to all who have asked when I do.If anyone who I send my model to has any Credit Deriv / Interest Rate Models (esp. HW1F/HW2F or BGM) or any other models, I'd be very appreciative if you could shoot them through to me.CheersMac

macca, I have an implementation of HW2F if you'd like.

That would be great mutley. I've sent you a PM.

If you need I have an implementation of the base correlation model to price standard CDO's (ITRAXX and CDX).